Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1243 |
| Annualized Std Dev | 0.1873 |
| Annualized Sharpe (Rf=0%) | 0.6635 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3563.0000 |
| NAs | 1.0000 |
| Minimum | -0.0987 |
| Quartile 1 | -0.0048 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0066 |
| Maximum | 0.1185 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0001 |
| Stdev | 0.0118 |
| Skewness | -0.3022 |
| Kurtosis | 8.8757 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0087 |
| Gain Deviation | 0.0079 |
| Loss Deviation | 0.0094 |
| Downside Deviation (MAR=210%) | 0.0132 |
| Downside Deviation (Rf=0%) | 0.0084 |
| Downside Deviation (0%) | 0.0084 |
| Maximum Drawdown | 0.4108 |
| Historical VaR (95%) | -0.0180 |
| Historical ES (95%) | -0.0288 |
| Modified VaR (95%) | -0.0177 |
| Modified ES (95%) | -0.0323 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2010-01-11 | -0.4108 | 641 | 428 | 213 |
| 2020-02-20 | 2020-03-23 | 2020-06-08 | -0.3057 | 76 | 23 | 53 |
| 2011-05-19 | 2011-10-03 | 2012-03-26 | -0.1976 | 215 | 95 | 120 |
| 2018-10-01 | 2018-12-24 | 2019-07-03 | -0.1949 | 190 | 59 | 131 |
| 2015-07-23 | 2016-02-11 | 2017-05-02 | -0.1931 | 448 | 141 | 307 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | -0.2 | -0.1 |
| 2007 | 0.6 | -0.8 | -0.4 | 0.5 | 0.4 | -0.6 | -0.1 | 0.7 | -0.4 | -0.1 | 0.4 | -1 | -0.8 |
| 2008 | -0.1 | -1.6 | 3.1 | 1.6 | 0 | -0.1 | -1 | -0.4 | 0.2 | 1.4 | -5.6 | 0.9 | -1.9 |
| 2009 | -1.8 | -3.8 | -0.4 | -0.5 | 2.5 | 0.3 | -0.6 | -1.4 | -1.3 | -1.4 | 1 | -0.6 | -7.9 |
| 2010 | 0.1 | 1.4 | 0.2 | -1.5 | -1.5 | -1.1 | 0.8 | 2.7 | 0 | 0.2 | 2 | -0.4 | 2.6 |
| 2011 | 1.3 | -0.3 | 0.6 | -0.2 | -1.2 | 1.6 | -2.2 | -0.8 | -0.7 | -3.1 | 0.8 | -0.3 | -4.6 |
| 2012 | 1.4 | 0.2 | 0.6 | 0.7 | -2.1 | 2.1 | 0.1 | 0.3 | 0.6 | 1.7 | 0 | 0.6 | 6.1 |
| 2013 | 1 | 0.9 | 0.3 | -0.7 | -1.7 | 0.5 | 0.8 | -0.4 | 1.4 | 0.4 | -0.1 | 0.2 | 2.7 |
| 2014 | -0.5 | -0.4 | 1 | 0.3 | 0.2 | 1.3 | 0 | 0.4 | -0.8 | 0.8 | -0.4 | -0.9 | 0.9 |
| 2015 | -1.6 | -0.4 | -1.1 | 1 | 0.5 | 0.9 | 0.4 | -2.7 | 0.7 | -0.6 | 1.5 | -0.8 | -2.1 |
| 2016 | 0.6 | 1.8 | 1.3 | -1.3 | 0.7 | 0.7 | 0.2 | -0.3 | 1 | -0.5 | -0.8 | -0.2 | 3.2 |
| 2017 | 1 | 0.9 | -0.2 | 0.3 | 1.5 | 0.1 | -0.3 | 0 | 0.9 | -0.5 | -0.6 | -0.5 | 2.6 |
| 2018 | -0.5 | -2.6 | 0.8 | 0.2 | 1.2 | 0.2 | -0.1 | 0.1 | 0 | 1.7 | 0.4 | 1.3 | 2.6 |
| 2019 | 0.1 | 1.6 | 0.5 | -0.5 | -0.7 | 0.6 | 0 | 0 | -1.2 | 0.7 | -0.4 | 0.4 | 1.2 |
| 2020 | -2.1 | -1.4 | -4 | -2.9 | -0.3 | 0.4 | -0.6 | -1 | -0.5 | -0.7 | 0.6 | 1.1 | -11 |
| 2021 | 0.9 | 1.2 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-11-07 50.5 SPY 139. 3.80e-3 0.006 0.0261 0.0916 0.134 0.303 0.233 GLD 62.0 0.00240 0.0299
2 2006-11-08 49.5 SPY 139. 2.20e-3 0.015 0.0269 0.0906 0.136 0.315 0.238 GLD 61.1 -0.015 -0.0041
3 2006-11-10 48.9 SPY 138. 4.00e-4 0.0125 0.0144 0.0876 0.121 0.315 0.226 GLD 62.5 -0.0073 0.003
4 2006-11-13 49.1 SPY 139. 2.50e-3 0.0036 0.0143 0.0774 0.120 0.303 0.237 GLD 62.2 -0.00480 0.00480
5 2006-11-20 49.9 SPY 140. 6.00e-4 0.0139 0.0267 0.0798 0.123 0.342 0.214 GLD 61.8 -0.0002 -0.0068
6 2006-11-22 50.0 SPY 141. 2.00e-3 0.0064 0.022 0.0869 0.116 0.352 0.236 GLD 62.5 0.0037 0.0107
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
